Stochastic Integrals

Mircea Grigoriu ()
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Mircea Grigoriu: Cornell University

Chapter Chapter 4 in Stochastic Systems, 2012, pp 129-154 from Springer

Abstract: Abstract Examples are presented to demonstrate the need for considering integrals other than Riemann-Stieltjes integrals when dealing with stochastic integrators. We review essentials of Riemann-Stieltjes integrals and define Itô stochastic integrals with Brownian motion, martingale, and semimartingale integrators. Stratonovich integrals are also defined. Properties of stochastic integrals and related concepts are illustrated by numerous examples.

Keywords: Brownian Motion; Quadratic Variation; Stochastic Integral; Intermediate Point; Continuous Sample (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:ssrchp:978-1-4471-2327-9_4

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DOI: 10.1007/978-1-4471-2327-9_4

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